Networks of equities in financial markets

被引:299
作者
Bonanno, G [1 ]
Caldarelli, G
Lillo, F
Miccichè, S
Vandewalle, N
Mantegna, RN
机构
[1] Ist Nazl Fis Mat, Unita Roma, Rome, Italy
[2] Univ Palermo, Dipartimento Fis & Tecnol Relat, I-90128 Palermo, Italy
[3] Ist Nazl Fis Mat, Unita Palermo, Palermo, Italy
[4] Univ Liege, Inst Phys B5, GRASP, B-4000 Liege, Belgium
关键词
D O I
10.1140/epjb/e2004-00129-6
中图分类号
O469 [凝聚态物理学];
学科分类号
070205 ;
摘要
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
引用
收藏
页码:363 / 371
页数:9
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